AN EMPIRICAL INVESTIGATION OF COINTEGRATION WITH REGIME SHIFTS OF SHANGHAI AND SHENZHEN STOCK MARKETS

机译：沪深股市市场走势与实物整合的实证研究

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Using cointegration techniques allowing for regime shifts, long-run equilibrium relationships between Shanghai and Shenzhen stock markets have been investigated. It is concluded that the cointegration relationship between them does have a structural break during the sample period. By establishing error correction model and forecasting the future Shanghai composite index, it has been demonstrated that cointegration model with regime shifts can. well characterize the equilibrium relationships between the two stock markets when there exists a structural break.

机译：使用允许政权转移的协整技术，对上海和深圳股市之间的长期均衡关系进行了研究。结论是，在采样期间，它们之间的协整关系确实存在结构性断裂。通过建立误差校正模型并预测未来的上海综合指数，已证明具有政权转移的协整模型可以实现。当存在结构性断裂时，很好地刻画了两个股票市场之间的均衡关系。

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来源
《Proceedings of the tenth international conference on industrial management.》|2010年|p.519-523|共5页
会议地点 Beijing(CN);Beijing(CN)
作者
Jiping Yang; Lisha Sun;
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作者单位

School of Economics and Management, Beihang University, Beijing 100191, China;

School of Economics and Management, Beihang University, Beijing 100191, China;

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会议组织
原文格式 PDF
正文语种
中图分类工业管理体制;工业管理体制;
关键词
cointegration; regime shift; structural break; shanghai and shenzhen stock markets;

机译：协整政权转移结构性破坏；上海和深圳股市;

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AN EMPIRICAL INVESTIGATION OF COINTEGRATION WITH REGIME SHIFTS OF SHANGHAI AND SHENZHEN STOCK MARKETS

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